Systems and methods for displaying order performance metrics

ABSTRACT

Systems and methods for generating a graphical representation for and displaying order performance metrics for one or more user orders of one or more market instruments. A graphical representation of the order performance metrics can be aligned with a graphical representation of market data relating to prices and volume of user orders, market orders, user order executions, and market trades. The order performance metrics can be displayed as one or more performance bars or ribbons divided into segments, which can be assigned a color based on a user order&#39;s performance with respect to a market benchmark. The graphical representations can be displayed using a display device.

CROSS-REFERENCE TO RELATED APPLICATIONS

This application is a continuation of U.S. patent application Ser. No.14/743,113, filed Jun. 18, 2015 and entitled “SYSTEMS AND METHODS FORDISPLAYING ORDER PERFORMANCE METRICS,” which is related to U.S.Provisional Application Ser. No. 62/014,576, filed Jun. 19, 2014, andU.S. Provisional Application Ser. No. 62/015,065, filed on Jun. 20,2014, each of which is incorporated herein by reference in its entiretyand from each of which priority is claimed.

BACKGROUND

The disclosed subject matter relates to techniques for displaying orderperformance metrics.

Traders engaged in the trading of market instruments can utilize varioussystems and graphical user interfaces to display market price data,execute orders and monitor status of different market conditions. Marketinstruments can include anything that can be traded in some quantity fora particular price. For example, a market instrument can be goods orfinancial products (e.g., stocks, bonds, futures, currency, commodities,or other financial instruments). Market instruments can be “real” andlisted on an exchange or “synthetic,” such as a combination of realproducts.

Electronic trading of market instruments has been embraced as the meansfor buying and selling instruments in various market exchangesthroughout the world. Traders can communicate via personal computer ormobile device with host computers of the market exchanges or otherintermediary host computers coupled with the exchanges. Electronictrading allows for display of information regarding market instrumentsreceived from the host computer which can impact the decision makingprocess of the trader with regard to placing trade orders.

Types of information that can impact a trader's decision to trade aninstrument include the market price for the instrument, the expectedvolume of the instrument on the market, the trader's limit price, andgenerally, the performance of pending or previously executed ordersagainst benchmarks calculated from market data over a period of time.Such benchmarks can include, for example, the volume-weighted averageprice for the instrument and the expected volume for the instrument.

The ability to visualize these metrics over time through a graphicaluser interface can be useful both to traders and their clients inassessing the quality of their investments and informing future orderdecisions. Often, however, it is difficult to reconcile order historydata, which can be provided in different chart forms such as graphs andtables. Additionally, order histories often only reflect either marketdata or order data. Thus, parties are unable to grasp a comprehensiveunderstanding of how their order executions compare to trades in themarket. Conventional graphical user interface displays of orderexecutions leave gaps of understanding for which the trader must justifya particular performance to a client.

Accordingly, there is a need for improved techniques in displayingsimultaneously comprehensive user order history data and marketinformation over time.

SUMMARY

In one aspect of the disclosed subject matter, a system for displayingorder performance metrics includes a computing device that includes oneor more processors. The processors are configured to receive andaggregate market data for one or more market instruments. The marketdata includes information corresponding to one or more user orders,including user order execution information for the one or more userorders, information corresponding to market order information, andinformation corresponding to market trade information. The computingdevice is configured to calculate order performance metrics relating toperformance of the user orders with respect to market benchmarks foreach of a plurality of time sections within a selected time period. Theplurality of time sections within each time period are divided basedupon the occurrence of order events or changes in limit price of orders.The selected time period is also divided into a plurality of timebuckets of differing or equal length. The computing device is configuredto generate a graphical representation of the order performance metricshaving a first portion, a second portion, and a third portion. The firstportion of the graphical representation displays data relating to pricesof the user orders, user order executions, market orders, and markettrades within a selected time period. The second portion of thegraphical representation displays data relating to volume of user ordersfilled and volume of market orders within a selected time period. Thethird portion of the graphical representation displays the orderperformance metrics relating to the performance of the user orderscompared with market benchmarks for each of the plurality of timesections within the selected time period. The system also includes adisplay device that is coupled with the computing device to display thegraphical representation of the order performance metrics in a mannercorresponding to the graphical representation of the data relating toprices displayed by the first portion and the graphical representationof the data relating to volume displayed by the second portion, withinthe selected time period.

In certain embodiments of the disclosed subject matter, the thirdportion of the graphical representation can display the orderperformance metrics as one or more performance bars or ribbons extendingalong a horizontal axis. Each performance bar or ribbon can be dividedinto segments and each segment can correspond to one of the plurality oftime sections.

In certain embodiments of the disclosed subject matter, the firstportion of the graphical representation can be rendered as a first upperportion, the second portion of the graphical representation can berendered as a second lower portion, and the third portion of thegraphical representation can be rendered as a third portion disposedbetween the first and second portions.

In certain embodiments of the disclosed subject matter, the thirdportion of the graphical representation can be adapted to display eachsegment of the one or more performance bars or ribbons having a colorselected from a color gradient, wherein the color of each segment can beselected based on a user order's relative performance in comparison to amarket benchmark for the time section corresponding to each segment.

In certain embodiments of the disclosed subject matter, the thirdportion of the graphical representation can be adapted to display theone or more performance bars or ribbons as a first performance bar orribbon and a second performance bar or ribbon. Each performance bar orribbon can extend horizontally and can be aligned in comparison with thedata displayed in the first portion and the second portion. The colorselected from the color gradient for each segment of the firstperformance bar or ribbon can correspond to the difference between amarket volume-weighted average price for each of the plurality of timesections and a volume-weighted average price of the user orderexecutions for each of the plurality of time sections, the colorselected from the color gradient for each segment of the secondperformance bar or ribbon can correspond to the difference between anarrival price for a user order and a volume-weighted average price ofthe executed orders that take place during the time sectioncorresponding to each segment.

In certain embodiments of the disclosed subject matter, the computingdevice can be configured to calculate a color intensity (C_(i)) for thedisplay of the color of each segment of the first performance bar orribbon using the equation:

${C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}};$

where L_(i) is the length of the section in minutes and Δ_(i) is the sumof the weighting cost (Ω) and the difference between the marketvolume-weighted average price for the time section, where

${{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}};{{{where}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{V_{i}}}}},$

-   -   s=1 if the order is a sell order and s=−1 if the order is a buy        order,    -   v_(i)=the volume of the order traded within the time section,    -   p_(i)=the average price achieved for the order within the time        section,    -   V_(i)=the volume traded on the market within the time section,        and    -   P_(i)=the volume-weighted average price within the time section.

In certain embodiments of the disclosed subject matter, the computingdevice can be configured to calculate a color intensity (C_(i)) for thedisplay of the color of each segment of the second performance bar orribbon using the equation:

${C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}};$

where L_(i) is the length of the time section in minutes and Δ_(i) isthe difference between the arrival price for the order and thevolume-weighted average price of the order executions taking placewithin the time section.

In certain embodiments of the disclosed subject matter, the firstportion of the graphical representation can display an execution pricefor each user order execution as data points plotted with respect totime along a horizontal axis. The first portion of the graphicalrepresentation can display a market price based on the market orderinformation, displayed as a line plotted with respect to time along ahorizontal axis. The first portion of the graphical representation candisplay a volume-weighted average price for each of the plurality oftime buckets, displayed as a line plotted with respect to time along ahorizontal axis, starting from a time at which the user order is placedand extending to a displayed end time. The first portion of thegraphical representation can display a limit price for each user order,displayed as a line, plotted with respect to time along a horizontalaxis. The first portion of the graphical representation can display ashaded area that is displayed in association with one or more timebuckets in the event that market prices fall outside of the limit priceof a user order or in the event that there is insufficient market volumeavailable to fill a user order.

In certain embodiments of the disclosed subject matter, the secondportion of the graphical representation can display a volumedifferential. The volume differential can be displayed as a bar chartoriented symmetrically with respect to a horizontally-extendingzero-axis, with bars extending positively above the zero-axis toindicate when a market instrument has been allocated at a greaterpercentage than it would have been had the order been traded inaccordance with the market within each of the plurality of time buckets.In displaying the volume differential, bars extending negatively belowthe zero-axis can indicate when a market instrument has been allocatedat a lower percentage than it would have been had the order been tradedin accordance with the market within each of the plurality of timebuckets.

In certain embodiments of the disclosed subject matter, the secondportion of the graphical representation can display a cumulative volumeof executed user orders. The cumulative volume can be calculated as thesum of the volume of all executions against a user order prior to andduring each of the plurality of time buckets and can be displayed as aline beginning from a first time that a user order execution occurs andcontinuing until a specified end time, that can be plotted with respectto time along a horizontal axis.

In certain embodiments of the disclosed subject matter, the secondportion of the graphical representation can display a volume of allexecutions against a user order as a bar chart oriented with respect toa horizontally-extending zero-axis, with bars extending positively abovethe zero-axis for each of the plurality of time buckets.

In certain embodiments of the disclosed subject matter, the secondportion of the graphical representation can display a volume of allmarket order executions as a bar chart oriented with respect to ahorizontally-extending zero-axis, with bars extending positively abovethe zero-axis for each of the plurality of time buckets.

In certain embodiments of the disclosed subject matter, the secondportion of the graphical representation can display a percent of volume.The percent of volume can be calculated as the sum of the volumes ofuser order executions as a percentage of market value and can bedisplayed as a bar chart oriented with respect to ahorizontally-extending zero-axis, with bars extending positively abovethe zero-axis for each of the plurality of time buckets.

In another aspect of the disclosed subject matter, a method fordisplaying order performance metrics includes receiving and aggregatingmarket data for one or more market instruments. The market data includesinformation corresponding to one or more user orders, including userorder execution information for the one or more user orders, informationcorresponding to market order information, and information correspondingto market trade information. The method includes calculating orderperformance metrics relating to performance of the user orders withrespect to market benchmarks for each of a plurality of time sectionswithin a selected time period. The plurality of time sections within thetime period are divided based upon the occurrence of order events orchanges in limit price of orders. The selected time period is alsodivided into a plurality of time buckets of differing or equal length.The method includes generating a graphical representation of the orderperformance metrics having a first portion, a second portion, and athird portion. The method includes generating the first portion todisplay data relating to prices of the user orders, user orderexecutions, market orders, and market trades within a selected timeperiod. The method includes generating the second portion to displaydata relating to volume of user orders filled and volume of marketorders within a selected time period. The method includes generating thethird portion to display the order performance metrics relating to theperformance of the user orders compared with market benchmarks for eachof the plurality of time sections within the selected time period. Themethod further includes displaying the graphical representation of theorder performance metrics corresponding to the graphical representationof the data relating to prices and the graphical representation of thedata relating to volume within the selected time period.

In certain embodiments of the disclosed subject matter, generating thethird portion of the graphical representation can include generating theorder performance metrics as one or more performance bars or ribbonsextending along a horizontal axis. Each performance bar or ribbon can bedivided into segments, with each segment corresponding to one of theplurality of time sections.

In certain embodiments of the disclosed subject matter, generating thegraphical representation can include generating the first portion of thegraphical representation as a first upper portion, generating the secondportion of the graphical representation as a second lower portion, andgenerating the third portion of the graphical representation as a thirdportion disposed between the first and second portions.

In certain embodiments of the disclosed subject matter, generating thethird portion of the graphical representation can include generatingeach segment of the one or more performance bars or ribbons by selectinga color from a color gradient for each segment based on a user order'srelative performance in comparison to a market benchmark for the timesection corresponding to each segment.

In certain embodiments of the disclosed subject matter, the method caninclude generating the third portion of the graphical representation ofthe one or more performance bars or ribbons as a first performance baror ribbon and a second performance bar or ribbon. Each performance baror ribbon can extend horizontally in alignment with the data displayedin the first portion and the second portion and the color selected fromthe color gradient for each segment of the first performance bar orribbon can correspond to the difference between a market volume-weightedaverage price for each of the plurality of time sections and avolume-weighted average price of the user order executions for each ofthe plurality of time sections. The color selected from the colorgradient for each segment of the second performance bar or ribbon cancorrespond to the difference between an arrival price for a user orderand a volume-weighted average price of the executed market orders thattake place during the time section corresponding to each segment.

In certain embodiments of the disclosed subject matter, the method caninclude calculating a color intensity (C_(i)) for the display of thecolor of each segment of the first performance bar or ribbon using theequation:

${C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}};$

where L_(i) is the length of the section in minutes and Δ_(i) is the sumof the weighting cost (Ω) and the difference between the marketvolume-weighted average price for the time section, where

${{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}};{{{where}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{V_{i}}}}},$

-   -   s=1 if the order is a sell order and s=−1 if the order is a buy        order,    -   v_(i)=the volume of the order traded within the time section,    -   p_(i)=the average price achieved for the order within the time        section,    -   V_(i)=the volume traded on the market within the time section,        and    -   P_(i)=the volume-weighted average price within the time section.

In certain embodiments of the disclosed subject matter, the method caninclude calculating a color intensity (C_(i)) for the display of thecolor of each segment of the second performance bar or ribbon using theequation:

${C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}};$

where L_(i) is the length of the time section in minutes and Δ_(i) isthe difference between the arrival price for the order and thevolume-weighted average price of the trade order executions taking placewithin the time section.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the first portion can include generating agraphical representation of an execution price for each user orderexecution as data points plotted with respect to time along a horizontalaxis. Generating the graphical representation of the first portion canalso include generating a graphical representation of a market pricebased on the market order information as a line, plotted with respect totime along a horizontal axis. Generating the graphical representation ofthe first portion can also include generating a graphical representationof a volume-weighted average price for each of the plurality of timebuckets, displayed as a line, plotted with respect to time along ahorizontal axis, starting from a time at which the user order is placedand extending to a displayed end time. Generating the graphicalrepresentation of the first portion can also include generating agraphical representation of a limit price for each user order as a line,plotted with respect to time along a horizontal axis. Generating thegraphical representation of the first portion can also includegenerating a graphical representation of an indicator, which can bedisplayed as a shaded area associated with one or more time buckets,that can be displayed in the event that market prices fall outside ofthe limit price of a user order, or in the event that there isinsufficient market volume available to fill a user order.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the second portion can include generatingthe graphical representation of a volume differential. The volumedifferential can be displayed as a bar chart that can be orientedsymmetrically with respect to a horizontally-extending zero-axis. Thebar chart can have bars extending positively above the zero-axis toindicate when a market instrument has been allocated at a greaterpercentage than it would have been had the order been traded inaccordance with the market within each of the plurality of time bucketsand can have bars extending negatively below the zero-axis to indicatewhen a market instrument has been allocated at a lower percentage thanit would have been had the order been traded in accordance with themarket within each of the plurality of time buckets.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the second portion can include generatingthe graphical representation of a cumulative volume of executed userorders, which can be calculated as the sum of the volume of allexecutions against a user order prior to and during each of theplurality of time buckets. The cumulative volume can be displayed as aline, beginning from a first time that a user order execution occurs andcontinuing until a specified end time and can be plotted with respect totime along a horizontal axis.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the second portion can include generatingthe graphical representation of a volume of all executions against auser order. The volume of all executions against a user order can bedisplayed as a bar chart oriented with respect to ahorizontally-extending zero-axis and can have bars extending positivelyabove the zero-axis for each of the plurality of time buckets.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the second portion can include generatingthe graphical representation of a volume of all market order executions,which can be displayed as a bar chart oriented with respect to ahorizontally-extending zero-axis. The bar chart can have bars extendingpositively above the zero-axis for each of the plurality of timebuckets.

In certain embodiments of the disclosed subject matter, generating thegraphical representation of the second portion can include generatingthe graphical representation of a percent of volume, which can becalculated as the sum of the volumes of user order executions as apercentage of market value. The percent of volume can be displayed as abar chart oriented with respect to a horizontally-extending zero-axisand can have bars extending positively above the zero-axis for each ofthe plurality of time buckets.

In another aspect of the disclosed subject matter, a non-transitorycomputer-readable medium contains computer-executable instructions forperforming a method for displaying order performance metrics thatinclude receiving and aggregating market data for one or more marketinstruments. The market data includes information corresponding to oneor more user orders, including user order execution information for theone or more user orders, information corresponding to market orderinformation, and information corresponding to market trade information.The method dictated by the computer-executable instructions alsoincludes calculating order performance metrics relating to performanceof the user orders with respect to market benchmarks for each of aplurality of time sections within a selected time period. The pluralityof time sections are divided based upon the occurrence of order eventsor changes in limit price of orders. The selected time period is alsodivided into a plurality of time buckets of differing or equal length.The method dictated by the computer-executable instructions alsoincludes generating a graphical representation of the order performancemetrics that has a first portion, a second portion, and a third portion.The first portion of the graphical representation displays data relatingto prices of the user orders, user order executions, market orders, andmarket trade orders within a selected time period. The second portion ofthe graphical representation displays data relating to volume of userorders filled and volume of market orders within a selected time period.The third portion of the graphical representation displays the orderperformance metrics relating to the performance of the user orderscompared with market benchmarks for each of the plurality of timesections within the selected time period. The method dictated by thecomputer-executable instructions also includes displaying the graphicalrepresentation of the order performance metrics corresponding to thegraphical representation of the data relating to prices and thegraphical representation of the data relating to volume within theselected time period.

BRIEF DESCRIPTION OF THE DRAWINGS

FIG. 1 illustrates a graphical user interface in accordance with anexemplary embodiment of the disclosed subject matter.

FIG. 2 illustrates a color gradient for indicating performance against abenchmark in accordance with an exemplary embodiment of the disclosedsubject matter.

FIG. 3 illustrates the display of order performance information for aselected time interval in accordance with an exemplary embodiment of thedisclosed subject matter.

FIG. 4 illustrates the display of market information at a selected pointon a graphical user interface in accordance with an exemplary embodimentof the disclosed subject matter.

FIG. 5 illustrates a system for implementing a graphical user interfaceto display order performance metrics in accordance with an exemplaryembodiment of the disclosed subject matter.

FIG. 6 illustrates a series of steps for displaying order performancemetrics in accordance with an exemplary embodiment of the disclosedsubject matter.

Throughout the drawings, the same reference numerals and characters,unless otherwise stated, are used to denote like features, elements,components or portions of the illustrated embodiments. Moreover, whilethe disclosed subject matter will now be described in detail withreference to the figures, it is done so in connection with theillustrative embodiments.

DETAILED DESCRIPTION

To measure past order performance and make future decisions, traders canutilize systems having graphical user interfaces which enable them tocompare order history to market metrics conventionally displayed ascharts graphed as some variable, such as price, versus time.Conventional display of such information, however, requires tradersattempting to obtain a comprehensive analysis of order performance tocompile and interpret various charts relating to different metrics. Thisprocess can be daunting, especially for those engaged in electronictrading who are not sophisticated traders. The disclosed subject matterprovides techniques for analyzing the execution performance of usertrade orders in connection with the trading of market instruments, andmore particularly provides techniques for analyzing the executionperformance of user trade orders against various benchmarks calculatedfrom market information and through the display of various metrics on agraphical user interface. The disclosed subject matter can be embodiedin the form of a system, method or non-transitory computer-readablemedium containing computer-executable instructions for performing amethod.

Certain exemplary and non-limiting embodiments of the disclosed subjectmatter will be described below with reference to the figures, for thepurposes of illustration, and not limitation. It should be apparent,however, to those skilled in the art that many more modificationsbesides those described herein are possible without departing from theconcepts of the disclosed subject matter. Additionally, it should beapparent to one of ordinary skill in the art that the techniquesdisclosed herein can be combined with other market display techniques.

In one aspect, the disclosed subject matter can include techniques fordisplaying order performance metrics and providing users with agraphical representation of the performance of their pending andexecuted orders over time. In certain embodiments, data related toprices of user order executions can be displayed along with data relatedto the price of market trades. The user order execution price data canfurther be displayed along with the limit price for each user order overa given time, which can thereby allow users to compare their executionprices with their limit prices. The former metrics, in addition toothers, can be displayed together and in various combinations foranalysis.

In another aspect of the disclosed subject matter, a graphicalrepresentation of data relating to the volume of executed user ordersand the volume of market trades can be generated and displayed. Incertain embodiments, the volume data of executed orders can be adaptedto display the weight of the executed orders compared with a marketbenchmark, which can thereby allow users to determine whether theirfinancial portfolios were overweight or underweight for a given time.Paired with the order execution and market price information, the volumedata can allow users to visualize the extent of returns or losses for agiven time.

Referring to FIG. 1, an in accordance with an exemplary and non-limitingembodiment, techniques for displaying order performance metrics caninclude computing techniques for generating a graphical user interface(“GUI”). The GUI can include a chart (100), referred to herein as a“stock chart” for purpose of clarity and not limitation, which caninclude a horizontal time axis partitioned into several “buckets” oftime (101). Along the vertical axis (102) of the stock chart, the threeportions of the stock chart, described above, can be provided such thata first portion (103), which can be embodied as a first upper portion,can be provided to display market price data overlaid with user orderprice data of a market instrument calculated for each time bucket andscaled to include all points. A second portion (104) of the stock chart,which can be embodied as a second lower portion, can be provided todisplay the volume differential between executed user orders filled andthe expected volume of user orders that would have been filled if theuser order had traded in-line with the market, where the volume datacalculated for each time bucket can be scaled symmetrically around zeroto include all points. A third portion (105) of the stock chart, whichcan be disposed between the first and second portions, can be providedto display the performance of the user order executions compared tomarket benchmarks by displaying order performance metrics that indicatesthe level of performance. The third portion can be split into sections,or segments (106) having a start time (106 a) and an end time (106 b).

In certain embodiments, the segments can be divided according to theoccurrence of one of the following events, among others: amendment oftotal order volume, amendment of the limit price of orders, orfulfillment of a user order. For example, and not limitation, if asegment resulting from the occurrence of an event accounts for more than10% of the lifetime of an order, then the section can be further dividedequally into sections of less than 10% where time can be rounded to thenearest time bucket, or if a section is less than the time of a bucket,then the entire bucket can be used.

The time buckets along the horizontal axis (101) of the stock chart canrepresent different lengths of time such as, for example, ten minuteintervals, as depicted in FIG. 1. The interval lengths can be set in avariety of different ways, for example, by user input or selection,automatically, based on the data displayed and/or user preferences, orotherwise, and can be set at equal or differing interval lengths. Thedata points related to both the user transaction and the market arecalculated over the length of time for each time bucket. In someembodiments, the data points can be calculated over multiple days andcan display details of a single or multiple user orders that match theinstrument, can include orders of one or both transactional directionsof buy or sell, and/or can include orders occurring in one or multiplecurrencies.

For the purposes of illustration, and not limitation, the vertical axis(102) can be partitioned to display price values (102 a) correspondingto the data rendered in the first portion (103) of the stock chart(100), as depicted in FIG. 1. In certain embodiments, as describedabove, data that can be provided in the first portion (103) can include,for example, user order execution price data, market price data, averageuser order execution price, user order limit price, as well as otherprice-related indicators. One of skill in the art will appreciate that avariety of other price metrics can additionally or alternatively bedisplayed. For the purpose of explanation, and not limitation, adiscussion of some possible price metrics follows.

As described herein, the first portion (103) can include user orderexecution price data points (103 a) representing the buy or sell priceof a user order, and market trade information (103 b) for the given timebucket. The user order execution price data points (103 a) can bedesignated on the GUI as “My Trade Price,” and can be calculated as thevolume-weighted average price (“VWAP”) for the corresponding timebucket. In certain embodiments, the execution price data points (103 a)can also indicate whether a corresponding trade took place passively,aggressively, or neutrally. For example, the transaction price datapoints (103 a) can be displayed as colored or shaded markers that assumedifferent shapes such as an upward-pointed triangle, a downward-pointedtriangle, or a circle indicating whether the trades took placepassively, aggressively, or neutrally, respectively, as depicted in FIG.1.

The market trade information (103 b) for the instrument can bedesignated on the GUI as “Market Price,” and can reflect the price ofthe market trades. In certain embodiments, the market price information(103 b) can be displayed as a thin, colored line, or any other linedistinguishable from the graphical representations of other metrics,appearing continuously along the chart as depicted in FIG. 1, althoughone of skill in the art will appreciate that a variety of other suitabletechniques can be used. For example, the market price can be displayedas a candlestick chart, a moving average, or other graphicalrepresentation.

As embodied herein, the first portion (103) can also include an averageprice (103 c) of user orders that can be designated on the GUI as “MyAverage Price,” and can be calculated as the volume-weighted averageprice for the time during which the user orders are executed. Theaverage price (103 c) can be displayed as a thick, dashed colored line,or any other line distinguishable from the graphical representations ofother metrics, beginning from the first time bucket during which a userorder execution takes place, which can be marked by the beginning of asegment (106 a) and can extend to a displayed end time of the order,which can be marked by the end of a segment (106 b).

In certain embodiments, the first portion (103) can also be adapted todisplay the limit price (103 d) of one or more pending user orders as afunction of time. The limit price (103 d) can be designated on the GUIas “My Limit Price,” and can be calculated as the price limit given bythe user at the start of the time bucket or at the end of the timebucket if the order begins during a time bucket. The limit price (103 d)can be displayed as a thick, dotted colored line, or any other type ofline distinguishable from the other metrics displayed, beginning fromthe start time (106 a) of the order to the end time (106 b) of theorder, and is stepped when an amendment to the limit price occurs.

In certain embodiments, the first portion (103) can also display theinterval volume-weighted average price (103 e), which represents theaverage price at which the instrument traded over the time buckets. Theinterval volume-weighted average price can be designated on the GUI as“Interval VWAP” and can be calculated as the volume-weighted averageprice of all market trades, or those that took place within the orderlimit, occurring between the start time of the order, which can bemarked by the beginning of a segment (106 a) and the end of the selectedtime section, which can be marked by the end of the segment (106 b). Theinterval VWAP (103 e) can be displayed as a thick, dashed, colored line,or any other line distinguishable from the other metrics displayed,appearing continuously from the start time (106 a) of the order and theend time (106 b) of the order.

In certain embodiments, the first portion (103) can also include anindicator associated with market prices falling outside of the userorder limit, which can be designated on the GUI as “Untradeable Price.”The untradeable price (103 f) can be calculated as “true” for a userorder to sell when the displayed market price (103 b) is less than thelimit price (103 d) of the user order, and can be calculated as “true”for a user order to buy when the market price (103 b) is greater thanthe limit price (103 d) of the user order. If calculated as “true,” theuntradeable price (1030 can be displayed, for example, on the firstportion (103) as a shading for the corresponding time buckets. The firstportion can also display an indicator associated with zero orinsufficient volume to fill a user order, which can be designated on theGUI as “Untradeable Volume.” The untradeable volume (103 g) can becalculated as “true” when the available market volume on the user orderis zero or insufficient to fill the user order before the order has beenentered, after the order has been executed, or if the order has beenfully filled but later increased. If calculated as “true,” theuntradeable volume (103 g) can be displayed, for example, as a shadingcorresponding to one or more time buckets, distinguishable from otherindicators, such as the untradeable price (103 f) on the first portion(103) of the stock chart (100).

For the purpose of illustration and not limitation, the vertical axis(102) can be further partitioned to display order volume data (102 b)corresponding to the data featured in the second portion (104) of thestock chart (100). Any of the following can be displayed: the volumedifferential, the cumulative volume of executed user orders, volume ofexecuted user orders during selected periods of time, market volume, orpercent of volume. One of skill in the art will appreciate that avariety of other volume metrics can additionally or alternatively bedisplayed. For the purpose of explanation, and not limitation, adiscussion of possible order volume metrics follows.

In certain embodiments, the volume differential (104 a) can bedesignated on the GUI as “Volume Differential,” which can be calculatedfor a selected period of time as the difference between the volumeexecuted against a user order and the expected volume that would havebeen executed against a user order if the order had been traded in-linewith the market, where the expected volume can be calculated as themarket volume multiplied by the fraction of the total filled user ordervolume to the total market volume. A positive value of volumedifferential can denote that the trader was overweight during that timebucket, or in other words, that the market instrument was given too muchrepresentation and allocated at a percentage greater than a marketbenchmark. A negative value for volume differential can denote that thetrader was underweight during that time bucket, or in other words, thatthe market instrument was given too little representation and allocatedat a percentage less than a market benchmark. In one embodiment, thevolume differential (104 a) can be displayed in the second portion (104)as a bar chart with one bar per time bucket, oriented symmetricallyaround zero, as depicted in FIG. 1.

In certain embodiments, the cumulative volume (104 b) of executed userorders can be designated on the GUI as “Cumulative Volume,” and can becalculated as the sum of the volume of all executions against a userorder prior to and during a given time bucket where the ordered volume(104 c) can be determined by the volume ordered at the end of a timebucket. In certain embodiments, the ordered volume (104 c) can bedisplayed as a thick, dotted, purple line beginning from a start time(106 a) to a selected end time (106 b), and which can be stepped wherean amendment to the ordered volume occurs. The cumulative volume (104 b)can be displayed in the second portion (104) as a thin, solid, purpleline beginning from the first time a user order execution occurs to aselected end time. The cumulative volume can be displayed in a number ofother colors and can use a number of graphical representations otherthan a line.

In certain embodiments, the volume of a trader's executed user orders(104 c) during time buckets can be designated on the GUI as “My Volume,”and can be calculated as the sum of the volume executed against a userorder during a particular time bucket. In one embodiment, the volume ofexecuted user orders (104 c) during time buckets can be displayed in thesecond portion (104) as a green bar chart having one bar for each timebucket. The volume of executed orders can be displayed in a number ofother colors and can use a number of graphical representations otherthan a bar chart.

In certain embodiments, the market volume (104 d) can be designated onthe GUI as “Market Volume,” and can be calculated as the sum of thevolume of all order executions on the market during a particular timebucket. The market volume (104 d) can be displayed in the second portion(104) as a purple bar chart having one bar for each time bucket. Themarket volume can be displayed in a number of other colors and can use anumber of graphical representations other than a bar chart.

In certain embodiments, the percent of volume (104 e) can be designatedon the GUI as “Percent of Volume,” and can be calculated as the sum ofthe volumes of the executions as a percentage of the market volume (104d) for a particular time bucket. In one embodiment, the percent ofvolume (104 d) can be displayed as an orange bar chart having one barfor each time bucket. The percent of volume can be displayed in a numberof other colors and can use a number of graphical representations otherthan a bar chart.

For the purpose of illustration and not limitation, the third portion(105) can be disposed between the first and second portions of the stockchart (100), and for purpose of example in FIG. 1, can display theperformance of the market according to certain benchmarks on ahorizontal bar or ribbon (105 a), which can be displayed as a tophorizontal bar or ribbon, and can display the performance of a trader'suser order execution history on a horizontal bar or ribbon (105 b),which can be displayed as a bottom horizontal bar or ribbon, as depictedin FIG. 1. Both ribbons can be divided into segments (106) correspondingto time sections along the horizontal axis, having start times (106 a)indicating when the segment starts, shown to the nearest second, and endtimes (106 b) indicating when the segment ends, which can match thestart time of the following section, as described above. For the purposeof explanation, and not limitation, a discussion of some possibleperformance benchmarks follows.

In certain embodiments, the market performance ribbon (105 a) can bedesignated on the GUI as “Interval (or ‘I.’) VWAP,” which can becalculated as the market volume-weighted average price between the starttime (106 a) and the end time (106 b) of a section. In certainembodiments, performance can be indicated as a gradient-color or shadedbar. The color or shade of sections along the I. VWAP, or marketperformance, ribbon (105 a) can be determined according to thedifference between the Internal VWAP for the section and thevolume-weighted average price of the executions taking place within thatsection in a monetary amount. The execution performance ribbon (105 b)can be designated on the GUI as “Arrival,” which can be calculated asthe arrival price for the filled user order. The color or shade of theorder sections along the Arrival, or execution, performance ribbon (105b) can be determined according to the difference between the arrivalprice for the user order and the average price for the section, wherethe average price for the section can be calculated as thevolume-weighted average price of the executed orders that take placewithin the sections.

The distribution of the color or shade in the sections of both theInterval VWAP, or market performance, ribbon (105 a) and the Arrival, orexecution, performance ribbon (105 b) can be based on the “Cost PerMinute” where the color or shading gradient can be symmetrical aroundwhite for each benchmark, as depicted in FIG. 2. For a time section inwhich an order did not or could not execute, the GUI can display a graycolor for the associated segment, or distinguish the display of thatsegment in some other way.

In certain embodiments, for purpose of illustration and not limitation,the following equations can be used to determine the color intensity fordisplay of performance of a given section:

$\begin{matrix}{{{Cost}\mspace{14mu} {Per}\mspace{14mu} {Minute}} = {C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}}} & (1)\end{matrix}$

where Δ_(i) is the either the Total Cost for the Interval VWAPperformance ribbon (105 a), or the difference between the arrival pricefor the order and the volume-weighted average price of the executionstaking place within the section for the Arrival performance ribbon (105b); and where Δ_(i) is the length of section i in minutes. Total Cost isequal to the sum of the difference between the Interval VWAP (which isthe market VWAP between the start and end times of the time section) andthe “Weighing Cost”, where: Weighing Cost is equal to the contributionthat the volume profile for the section makes to the overall VWAPperformance, which is given by:

$\begin{matrix}{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}} & (2) \\{{{{Participation}\mspace{14mu} {Rate}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{\sum\limits_{i}\; V_{i}}}},} & (3)\end{matrix}$

where:

-   -   s=Sign of the order (1 for a sell, −1 for a buy),    -   v_(i)=Volume of the order traded within section i,    -   p_(i)=Average price achieved for the order within section i,    -   V_(i)=Volume traded on the market within section i,    -   and P_(i)=VWAP within section i.

In certain embodiments, the one or more processors of the computingdevice implementing the GUI can be configured to accept and aggregatedata collected from the market as well as the transaction dataassociated with the user, and can further calculate the data points tobe rendered in the three portions of the stock chart (100), as describedabove. The computing device can also be configured to receive user inputfrom a user input device, such as a mouse.

For purpose of illustration and not limitation, with reference to FIG.6, a method for displaying order performance metrics in accordance withthe disclosed subject matter can include a step of receiving andaggregating market data and user data, (300). The method can furtherinclude calculating order performance metrics (301) with respect tomarket benchmarks for each of a plurality of time sections within aselected time period based on the collected user data and market data.The method can further include generating a graphical representation ofthe order performance metrics (302) including a first portion, a secondportion, and a third portion that can display data related to price,data related to volume, and the calculated order performance metrics,respectively. The method can further include displaying the orderperformance metrics (303) in comparison with the price data that can bedisplayed in the first portion of the graphical representation and thevolume data that can be displayed in the second portion of the graphicalrepresentation.

In certain embodiments, the GUI can be implemented, as shown in FIG. 5,using appropriate software, on a computing device (204) containing oneor more processors (205) in communication with a user input device(201), such as a mouse or touchscreen. The computing device can also beconnected to a data source (202) from which it can receive market datarelated to market orders, market trades, user orders and user orderexecutions, as shown in FIG. 5 for example. The computing device canalso be connected to a network as well as a display device (206) forproviding the GUI to the user. The computing device can be a personalcomputer, laptop, handheld computing device, mobile device, smartphone,or any other computing device which allows for implementing thedisclosed subject matter, and it can interact with servers (207) througha number of network connections (203), as shown in FIG. 5 for example.The computing device can interact with servers to receive and transmitdata and to communicate with the display device (206) through thenetwork connections (203) shown in FIG. 5, which can be embodied, forexample, as fiber, other wire line network, wireless network, and canutilize, for example, cloud computing techniques or other knowncomputing techniques.

Referring to FIG. 3 and FIG. 4, another aspect of the presentlydisclosed embodiment includes displaying, on the GUI additional datarelating to points of time on the stock chart (100). For example, incertain embodiments, additional data relating to points of time of thestock chart can be displayed as a user navigates and hovers over thosepoints with a mouse cursor. The additional data that can be displayed inan expanded window, cell, or some other GUI feature includes but is notlimited to the price, volume of user orders ordered at that time bucket,volume of user orders filled at that time bucket, market participation,and Interval VWAP.

In certain embodiments, the disclosed subject matter can include a zoomfeature allowing the user to control the length of time displayed on thehorizontal time axis (101) where all three portions (103, 104, and 105)are scaled over that period. Similar zoom and scaling features can beprovided for other axes or displayed data as well.

The disclosed subject matter can be used both while an order for amarket instrument is being worked as well as after execution of theorder for the purpose of understanding why an order achieved aparticular performance against a benchmark. The disclosed subject mattercan also allow traders to understand why poor performance occurred sothat corrective action can be taken in the future, and can provideinsight into the underlying market behavior to enable traders to explainand account for order execution performance (e.g., to allow a trader toexplain and account for execution performance to investors), anddemonstrate a high-level of expertise and sophistication so that traderscan better market execution services to clients.

The presently disclosed subject matter is not to be limited in scope bythe specific embodiments herein. Indeed, various modifications of thedisclosed subject matter in addition to those described herein willbecome apparent to those skilled in the art from the foregoingdescription and the accompanying figures. Such modifications areintended to fall within the scope of the appended claims.

1. A system for displaying order metrics, comprising: a computing deviceincluding one or more processors, configured to: receive and aggregatemarket data for one or more market instruments, including informationcorresponding to one or more user orders; calculate order metricsrelating to the one or more user orders with respect to marketbenchmarks for each of a plurality of time sections; and generate agraphical representation of the order metrics; a display device havingone or more displayable portions coupled with the computing device, theone or more displayable portions adapted to display the graphicalrepresentation of the order metrics, wherein at least one of the one ormore displayable portions of the display device is adapted to displayeach of the order metrics as one or more bars or ribbons, wherein eachof the one or more bars or ribbons extends horizontally within itsrespective one or more displayable portion; and wherein the computingdevice is configured to calculate a color intensity (C_(i)) for thedisplay of a color of each segment of each bar or ribbon using theequation:$C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}$where L_(i) is a length of the time section in minutes and Δ_(i) is asum of a weighting cost (Ω) and a difference between a marketvolume-weighted average price for the time section, where${{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}};{{{where}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{V_{i}}}}},$s=1 if the order is a sell order and s=−1 if the order is a buy order,v_(i)=the volume of the order traded within the time section, p_(i)=theaverage price achieved for the order within the time section, V_(i)=thevolume traded on the market within the time section, and P_(i)=thevolume-weighted average price within the time section.
 2. The system ofclaim 1, wherein the information corresponding to the one or more userorders includes at least one of user order execution information for theone or more user orders, information corresponding to market orderinformation, and information corresponding to market trade information.3. The system of claim 1, wherein the plurality of time sections isdivided based upon order events or changes in a limit price of theorders.
 4. The system of claim 3, wherein corresponding data points ineach of the one or more displayable portions are each displayedcorresponding to a time bucket in a plurality of time buckets.
 5. Thesystem of claim 1, wherein the one or more displayable portions includesa first displayable portion, a second displayable portion, and a thirddisplayable portion, wherein the first displayable portion is adapted todisplay first data relating to at least one of prices of the userorders, user order executions, market orders, and market trades within afirst selected time period, wherein the second displayable portion isadapted to display second data relating to at least one of a volume ofuser orders filled and a volume of user orders within a second selectedtime period, and wherein the third displayable portion is adapted todisplay third data relating to the order metrics relating to aperformance of the user orders compared with market benchmarks for eachof the plurality of time sections within a third selected time period.6. The system of claim 5, wherein the third displayable portion isfurther adapted to display each of the order metrics as one or more barsor ribbons extending along a horizontal axis, each bar or ribbon beingdivided into segments, each segment corresponding to at least one of theplurality of time sections, and each segment having a color selectedfrom a color gradient based on a user order's relative performance incomparison to a market benchmark for the time section corresponding toeach segment and a color intensity (C_(i)) related to the length of thetime section and a market value weighted average price for the timesection.
 7. The system of claim 6, wherein the color selected from thecolor gradient for each segment of the bar or ribbon corresponds to oneof the difference between a market volume-weighted average price foreach of the plurality of time sections and a volume-weighted averageprice of the user order executions for each of the plurality of timesections or the difference between an arrival price for a user order anda volume-weighted average price of the executed orders that take placeduring the time section corresponding to each segment.
 8. The system ofclaim 5, wherein the first displayable portion of the display devicerenders an upper portion, the second displayable portion of the displaydevice renders a lower portion, and the third displayable portion of thedisplay device renders a third portion disposed between the first andsecond portions.
 9. The system of claim 1, wherein at least one of theone or more displayable portions of the display device is adapted todisplay at least one of: an execution price for each user orderexecution, displayed as data points plotted with respect to time along ahorizontal axis; a market price based on the market order information,displayed as a line plotted with respect to time along a horizontalaxis; a volume-weighted average price, displayed as a line plotted withrespect to time along a horizontal axis, starting from a time at whichthe user order is placed and extending to a displayed end time; a limitprice for each user order, displayed as a line, plotted with respect totime along a horizontal axis; or a shaded area that is displayed in theevent that market prices fall outside of the limit price of a user orderor in the event that there is insufficient market volume available tofill a user order.
 10. The system of claim 1, wherein at least one ofthe one or more displayable portions of the display device is adapted todisplay at least one of: a volume differential, displayed as a barchart; a cumulative volume of executed user orders, plotted with respectto time along a horizontal axis; a volume of all executions against auser order, displayed as a bar chart; a volume of all market orderexecutions, displayed as a bar; or a percent of volume, displayed as abar chart.
 11. A method for displaying order metrics comprising:receiving and aggregating market data for one or more marketinstruments, including information corresponding to one or more userorders; calculating order metrics relating to the one or more userorders with respect to market benchmarks for each of a plurality of timesections; and generating a graphical representation of the ordermetrics; displaying, in one of one or more displayable portions of adisplay device, the graphical representation of the order metrics as oneor more bars or ribbons, each of the one or more bars or ribbonsextending horizontally within the respective one or more displayableportions; calculating a color intensity (C_(i)) for the display of acolor of each segment of each bar or ribbon using the equation:$C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}$where L_(i) is a length of the time section in minutes and Δ_(i) is asum of a weighting cost (Ω) and a difference between a marketvolume-weighted average price for the time section, where${{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}};{{{where}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{V_{i}}}}},$s=1 if the order is a sell order and s=−1 if the order is a buy order,v_(i)=the volume of the order traded within the time section, p_(i)=theaverage price achieved for the order within the time section, V_(i)=thevolume traded on the market within the time section, and P_(i)=thevolume-weighted average price within the time section.
 12. The method ofclaim 11, wherein the information corresponding to the one or more userorders includes at least one of user order execution information for theone or more user orders, information corresponding to market orderinformation, and information corresponding to market trade information.13. The method of claim 11, wherein the plurality of time sections isdivided based upon order events or changes in limit price of orders. 14.The method of claim 13, wherein corresponding data points in each of theone or more displayable portions are each displayed corresponding to atime bucket in a plurality of time buckets.
 15. The method of claim 11,wherein the one or more displayable portions includes a firstdisplayable portion, a second displayable portion, and a thirddisplayable portion, wherein the first displayable portion is adapted todisplay first data relating to at least one of prices of the userorders, user order executions, market orders, and market trades within afirst selected time period, wherein the second displayable portion isadapted to display second data relating to at least one of a volume ofuser orders filled and volume of user orders within a second selectedtime period, and wherein the third displayable portion is adapted todisplay third data relating to the order performance metrics relating tothe performance of the user orders compared with market benchmarks foreach of the plurality of time sections within a third selected timeperiod.
 16. The method of claim 15, wherein the third displayableportion is further adapted to display each of the order metrics as oneor more bars or ribbons extending along a horizontal axis, each bar orribbon being divided into segments, each segment corresponding to atleast one of the plurality of time sections, and each segment having acolor selected from a color gradient based on a user order's relativeperformance in comparison to a market benchmark for the time sectioncorresponding to each segment and a color intensity (C_(i)) related tothe length of said time section and a market value weighted averageprice for the time section.
 17. The method of claim 16, wherein thecolor selected from the color gradient for each segment of the bar orribbon corresponds to one of the difference between a marketvolume-weighted average price for each of the plurality of time sectionsand a volume-weighted average price of the user order executions foreach of the plurality of time sections or the difference between anarrival price for a user order and a volume-weighted average price ofthe executed orders that take place during the time sectioncorresponding to each segment.
 18. The method of claim 17, wherein thefirst displayable portion of the display device is disposed in an upperportion thereof, the second displayable portion of the display device isdisposed in a lower portion thereof, and the third displayable portionof the display device is disposed in a third portion thereof disposedbetween the first and second portions.
 19. The method of claim 11,wherein the displaying further comprises: generating a graphicalrepresentation of an execution price for each user order execution asdata points plotted with respect to time along a horizontal axis;generating a graphical representation of a market price based on themarket order information as a line, plotted with respect to time along ahorizontal axis; generating a graphical representation of avolume-weighted average price, displayed as a line, plotted with respectto time along a horizontal axis, starting from a time at which the userorder is placed and extending to a displayed end time; generating agraphical representation of a limit price for each user order as a line,plotted with respect to time along a horizontal axis; and generating agraphical representation of an indicator, displayed as a shaded area,that is displayed in the event that market prices fall outside of thelimit price of a user order, or in the event that there is insufficientmarket volume available to fill a user order.
 20. A non-transitorycomputer-readable medium containing computer-executable instructions forperforming a method for displaying order metrics, the method comprising:receiving and aggregating market data for one or more marketinstruments, including information corresponding to one or more userorders; calculating order metrics relating to the one or more userorders with respect to market benchmarks for each of a plurality of timesections; and generating a graphical representation of the ordermetrics; displaying, in one of one or more displayable portions of adisplay device, the graphical representation of the order metrics as oneor more bars or ribbons, each of the one or more bars or ribbonsextending horizontally within the respective one or more displayableportions; calculating a color intensity (C_(i)) for the display of acolor of each segment of each bar or ribbon using the equation:$C_{i} = \frac{\Delta_{i}\text{/}L_{i}}{\max_{i}{{\Delta_{i}\text{/}L_{i}}}}$where L_(i) is a length of the time section in minutes and Δ_(i) is asum of the weighting cost (Ω) and a difference between the marketvolume-weighted average price for the time section, where${{\Omega = {s \times \left( {P - P_{i}} \right) \times \left( {{\rho \; V_{i}} - v_{i}} \right)}};{{{where}\mspace{14mu} \rho} = {\frac{v}{V} = \frac{\sum\limits_{i}\; v_{i}}{V_{i}}}}},$s=1 if the order is a sell order and s=−1 if the order is a buy order,v_(i)=the volume of the order traded within the time section, p_(i)=theaverage price achieved for the order within the time section, V_(i)=thevolume traded on the market within the time section, and P_(i)=thevolume-weighted average price within the time section.